well you are mostly correct. I am going to answer in two posts. First 1937 coronation.
At 1937 Coronation Queen Elizabeth does not wear any order sash (I thought maybe the garter itself above her elbow, but can't see it in any images) indeed no orders at all excepting the braclets of Willian IV's family order.
Queen Mary was wearing her garter sash.
Queen Maude is wearing the GCVO sash, which she recieved in the Coronation Honours list 1937. It makes an interesting read.
Also awarded the GCVO that day were Mary, Princess Royal and Countess of Harewood, Princess Louise, Duchess of Argyll & Princess Beatrice. (Although the last two, the last surviving of Queen Victoria's daughters, did not attend the 1937 coronation)
Therefore Princess Mary, Princess Royal is wearing her new GCVO sash. HOWEVER, she was wearing her diamond encrusted GBE star instead of the GCVO one. She did the same in 1953, as can be seen in the following photo.
The Duchesses of Gloucester and Kent, and Princess Alice, Countess of Athlone received the GBE in the 1937 Coronation honours list (see that link above). So they wore that sash.
The Duchesses of Gloucester and Kent, and Princess Alice, Countess of Athlone received the GCVO in te 1948 New Year's honours list. See this link to George VI's appointments to the GCVO.
George VI's GCVO appointments
Princess Margaret and Princess Marie Louise receive the GCVO in the 1953 coronation honours list - London Gazette
End of part one.